Outlook Questions (With Win 98SE or WinXP)

I am using Outlook Express the one that came with Windows 98 SE, or the one installed by Office 2000, to gather my HotMail e-mail messages and I have these questions:

1) I want to have my message(s) file in a location where I can back them up regularly. I have in mind My Documents, how can I set the location where these files are saved.

2) I am using Outlook to download my messages because Hotmail keeps telling me I have too many messages, but I want to set Outlook to delete the messages on the Hotmail server after download them, but keep them on my PC locally, How???

3) Is it possible to filter these messages as they are being downloaded, so that all my important messages will go to a certain folder and all my list messages will go to the other folders?

Thanks

Wassim
PS I do have multiple Hotmail accounts, so I will need to do these for all accounts...